This paper investigates the effects of the negative interest rates on the European REIT markets. We apply the multiple linear regression to analyze the negative interest rates, REITs, stocks, 10-year government bond yields from 2009 to 2019. Our results reveal that the negative interest rates are negatively correlated to the European REITs. The stocks and bond yield are positively and negatively correlated to the European REITs, respectively.

This paper investigates the effects of the negative interest rates on the European REIT markets. We apply the multiple linear regression to analyze the negative interest rates, REITs, stocks, 10-year government bond yields from 2009 to 2019. Our results reveal that the negative interest rates are negatively correlated to the European REITs. The stocks and bond yield are positively and negatively correlated to the European REITs, respectively.

Bouri, A., Gupta, R., & Wang, S. (2019). Contagion between Stock and Real Estate Markets: International Evidence from a Local Gaussian Correlation Approach. Unpublished doctoral dissertation, University of Pretoria, South Africa.
Chang, G.-D., & Chen, C.-S. (2014). Evidence of contagion in global REITs investment. International Review of Economics & Finance, 31, 148–158.
Chang, G.-D., & Lin, J.-Y. (2016). The effects of the Quantitative Easing Policy on Mortgage REITs. Unpublished Master’s thesis, National Taiwan University of Science and Technology, Taiwan.
Chang, G.-D., & Lo, Y.-J. (2016). Volatility transmission between REITs and three other financial assets in the EU. Unpublished Master’s thesis, National Taiwan University of Science and Technology, Taiwan.
Chang, G.-D., & Huang, C.-W. (2018). Evidence of cross-asset contagion in Asia-Pacific REIT markets. Unpublished Master’s thesis, National Taiwan University of Science and Technology, Taiwan.
Demiralp, S., Eisenschmidt, J., & Vlassopoulos, T. (2017). Negative Interest Rates, Excess Liquidity and Bank Business Models: Bankss Reaction to Unconventional Monetary Policy in the Euro Area. SSRN Electronic Journal.
Devaney, M. (2012). Financial crisis, REIT short-sell restrictions and event induced volatility. The Quarterly Review of Economics and Finance, 52(2), 219–226.
Esposito, L., Nobili, A., & Ropele, T. (2015). The management of interest rate risk during the crisis: Evidence from Italian banks. Journal of Banking & Finance, 59, 486–504.
Fatnassi, I., Slim, C., Ftiti, Z., & Maatoug, A. B. (2014). Effects of monetary policy on the REIT returns: Evidence from the United Kingdom. Research in International Business and Finance, 32, 15–26.
Giliberto, M., & Mengden, A. (1996). REITs and real estate: Two markets reexamined. Real Estate Finance, 13, 56-60.
Khayat, G. A. (2018). The impact of setting negative policy rates on banking flows and exchange rates. Economic Modelling, 68, 1–10.
Kola, K., & Kodongo, O. (2017). Macroeconomic risks and REITs returns: A comparative analysis. Research in International Business and Finance, 42, 1228–1243.
Kurowski, Ł. K., & Rogowicz, K. (2017). Negative interest rates as systemic risk event. Finance Research Letters, 22, 153–157.
Marcus T. Allen, Jeff Madura & Thomas M. Springer. (2000). REIT Characteristics and the Sensitivity of REIT Returns. The Journal of Real Estate Finance and Economics, 21, 141–152.
Marfatia, H. A., Gupta, R., & Cakan, E. (2017). The international REIT’s time-varying response to the U.S. monetary policy and macroeconomic surprises. The North American Journal of Economics and Finance, 42, 640–653.
McMahan, J. (1994). The long view: A perspective on the REIT market. Real Estate Issues, 19(2), 1-4.
Molyneux, P., Reghezza, A., & Xie, R. (2019). Bank margins and profits in a world of negative rates. Journal of Banking & Finance, 107, 105613.
Nucera, F., Lucas, A., Schaumburg, J., & Schwaab, B. (2017). Do Negative Interest Rates Make Banks Less Safe? SSRN Electronic Journal.
Stevenson, S. (2002). An examination of volatility spillovers in REIT returns. Journal of Real Estate Portfolio Management, 8(3), 229-238.
Thornton, J., & Vasilakis, C. (2019). Negative policy interest rates and exchange rate behavior: Further results. Finance Research Letters, 29, 61–67.
Zhou, J. (2016). A high-frequency analysis of the interactions between REIT return and volatility. Economic Modelling, 56, 102–108.